A note on objective functions in multistage stochastic nonlinear programming problems

Abstract

Multistage stochastic programming problems well correspond to many practical situations in which a random element exists and moreover it is reasonable to treat them with respect to some discrete time interval. In particular, this type of problems correspond to practical situations that can be considered with respect to some time interval and simultanously decomposed with respect to the individual time points. The aim of this paper is to investigate the objective functions corresponding to the individual problems belonging to the one multistage stochastic programming problem. A special attention is paid to the Lipschitz property.Keywordsmultistage stochastic programming problemdiscrete time intervalindividual time pointsobjective functionsLipschitz property